Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162594
Authors: 
Herwartz, Helmut
Maxand, Simone
Walle, Yabibal M.
Year of Publication: 
2017
Series/Report no.: 
Discussion Papers, Center for European, Governance and Economic Development Research 314
Abstract: 
Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers have proposed PURTs that are pivotal in the presence of volatility shifts. The applicability of these tests, however, has been restricted to cases where the data contains only an intercept, and not a linear trend. This paper proposes a new heteroskedasticity-robust PURT that works well for trending data. Under the null hypothesis, the test statistic has a limiting Gaussian distribution. Simulation results reveal that the test tends to be conservative but shows remarkable power in finite samples.
Subjects: 
panel unit root tests
nonstationary volatility
cross-sectional dependence
near epoch dependence
energy use per capita
JEL: 
C23
C12
Q40
Document Type: 
Working Paper

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